Carry out augmented Dickey-Fuller tests for unit roots based on Banerjee's et al. tables and on J.G. McKinnons' numerical distribution functions.
unitrootTest(x, lags = 1, type = c("nc", "c", "ct"), title = NULL,
description = NULL)
adfTest(x, lags = 1, type = c("nc", "c", "ct"), title = NULL,
description = NULL)
an object from S4 class "fHTEST" with the following slots:
the function call.
a data frame with the input data.
a character string giving the name of the data frame.
a list object which holds the output of the underlying test function.
a character string with the name of the test.
a character string with a brief description of the test.
The entries of the @test slot include the following components:
the value of the test statistic.
the lag order.
the p-value of the test.
a character string indicating what type of test was performed.
a character string giving the name of the data.
a character string describing the alternative hypothesis.
the name of the underlying function, which may be wrapped.
additional test results to be printed.
a numeric vector or time series object.
the maximum number of lags used for error term correction.
a character string describing the type of the unit root
regression. Valid choices are "nc" for a regression with no
intercept (constant) nor time trend, "c" for a regression
with an intercept (constant) but no time trend, "ct" for a
regression with an intercept (constant) and a time trend. The
default is "c".
a character string which allows for a project title.
a character string which allows for a brief description.
Adrian Trapletti for the tests adapted from R's "tseries" package,
Diethelm Wuertz for the Rmetrics R-port.
adfTest() computes test statistics and p-values along the
implementation from Trapletti's augmented Dickey-Fuller test for
unit roots. In contrast to Trapletti's function, three kind of test
types can be selected.
unitrootTest() computes test statistics and p-values using
McKinnon's response surface approach.
Banerjee A., Dolado J.J., Galbraith J.W., Hendry D.F. (1993); Cointegration, Error Correction, and the Econometric Analysis of Non-Stationary Data, Oxford University Press, Oxford.
Dickey, D.A., Fuller, W.A. (1979); Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association 74, 427--431.
MacKinnon, J.G. (1996); Numerical distribution functions for unit root and cointegration tests, Journal of Applied Econometrics 11, 601--618.
Said S.E., Dickey D.A. (1984); Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order, Biometrika 71, 599--607.
## a time series which contains no unit-root:
x <- rnorm(1000)
## a time series which contains a unit-root:
y <- cumsum(c(0, x))
adfTest(x)
adfTest(y)
unitrootTest(x)
unitrootTest(y)
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